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Long memory, fractional integration, and cross-sectional aggregation

Published:2017-07 Issue:1 Volume:199 Page:1-11
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Haldrup Niels,Vera Valdés J. Eduardo

Funder

CREATES—Center for Research in Econometric Analysis of Time Series

Danish National Research Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference30 articles.

1. On large-sample estimation for the mean of a stationary random sequence;Adenstedt;Ann. Statist.,1974

2. Persistence in inflation: does aggregation cause long memory?;Balcilar;Emerg. Mark. Financ. Trade,2004

3. On unified model selection for stationary and non stationary short and long memory autoregressive processes;Beran;Biometrika,1998

4. Long Memory Processes;Beran,2013

5. Long memory and aggregation in macroeconomic time series;Chambers;Internat. Econom. Rev.,1998

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